A simple implementation of a price/time limit order book. More...

#include <order_book.hpp>

Classes
struct	cheapest_orders_by_time_t

struct	cheapest_t

class	most_expensive_by_time_t

struct	most_expensive_t

Public Types
using	msg_details_t = MsgType

using	price_t = typename msg_details_t::Price_t

using	quantity_t = typename msg_details_t::Quantity_t

using	side_t = typename msg_details_t::Side

using	symbol_t = typename msg_details_t::SecurityID_t

using	order_t = typename msg_details_t::NewOrder_t

using	execution_t = typename msg_details_t::ExecutionReport

using	lock_traits = libjmmcg::ppd::api_lock_traits< libjmmcg::ppd::platform_api, libjmmcg::ppd::heavyweight_threading >

using	exception_type = lock_traits::exception_type

using	trades_t = std::vector< execution_t >

using	orders_by_time = std::list< internal_order >

Public Member Functions
	order_book ()

	~order_book ()

bool	empty () const noexcept(true)

bool	is_crossed () const noexcept(true)

price_t	agreed_spread (symbol_t const &symbol) const noexcept(true)

void	place (order_t const &order) noexcept(false)
	Place the requested order in the book. More...

void	cancel (order_t const &order) noexcept(false)
	Remove the specified order from the order book. More...

trades_t	match ()
	Return all possible trades, also uncrossing the order book. More...

Friends
template<class MsgTypes1 >
std::ostream &	operator<< (std::ostream &os, order_book< MsgTypes1 > const &o)

Detailed Description

template<class MsgType>
class isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >

A simple implementation of a price/time limit order book.

Exchange matching engines use an order book to match orders from buyers and sellers.

Note: A production-quality program would place this in shared memory (to be regularly flushed to disk) e.g. to be used in case the order book process crashes, so that the data is not lost, and can be recovered.; The algorithmic complexities all assume that the number of symbols is much smaller than the number of trades on the book. If this is not the case, then the log(num_symbols) lookup may dominate, but this is unlikely.

Definition at line 45 of file order_book.hpp.

Member Typedef Documentation

◆ exception_type

template<class MsgType >

using isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::exception_type = lock_traits::exception_type

Definition at line 55 of file order_book.hpp.

◆ execution_t

template<class MsgType >

using isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::execution_t = typename msg_details_t::ExecutionReport

Definition at line 53 of file order_book.hpp.

◆ lock_traits

template<class MsgType >

using isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::lock_traits = libjmmcg::ppd::api_lock_traits<libjmmcg::ppd::platform_api, libjmmcg::ppd::heavyweight_threading>

Definition at line 54 of file order_book.hpp.

◆ msg_details_t

template<class MsgType >

using isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::msg_details_t = MsgType

Definition at line 47 of file order_book.hpp.

◆ order_t

template<class MsgType >

using isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::order_t = typename msg_details_t::NewOrder_t

Definition at line 52 of file order_book.hpp.

◆ orders_by_time

template<class MsgType >

using isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::orders_by_time = std::list<internal_order>

We push_back(), so orders towards the beginning of the collection are older than those towards the end.

Todo:: Consider a faster collection, such as boost circular buffer for something similar.

Definition at line 83 of file order_book.hpp.

◆ price_t

template<class MsgType >

using isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::price_t = typename msg_details_t::Price_t

Definition at line 48 of file order_book.hpp.

◆ quantity_t

template<class MsgType >

using isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::quantity_t = typename msg_details_t::Quantity_t

Definition at line 49 of file order_book.hpp.

◆ side_t

template<class MsgType >

using isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::side_t = typename msg_details_t::Side

Definition at line 50 of file order_book.hpp.

◆ symbol_t

template<class MsgType >

using isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::symbol_t = typename msg_details_t::SecurityID_t

Definition at line 51 of file order_book.hpp.

◆ trades_t

template<class MsgType >

using isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::trades_t = std::vector<execution_t>

Definition at line 77 of file order_book.hpp.

Constructor & Destructor Documentation

◆ order_book()

template<class MsgType >

isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::order_book

inline

Definition at line 252 of file order_book_impl.hpp.

◆ ~order_book()

template<class MsgType >

isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::~order_book

inline

Definition at line 257 of file order_book_impl.hpp.

Member Function Documentation

◆ agreed_spread()

template<class MsgType >

order_book< MsgType >::price_t isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::agreed_spread ( symbol_t const & symbol ) const

inlinenoexcept

Algorithmic complexity: O(n) where n is the total number of orders in all the books.

Returns: The spread for the specified symbol, if there are prices on both sides, otherwise zero.

Definition at line 281 of file order_book_impl.hpp.

◆ cancel()

template<class MsgType >

void isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::cancel ( order_t const & order )

inlinenoexcept

Remove the specified order from the order book.

Algorithmic complexity: O(n^2) where n is the total number of orders in all the books.

See also: place(), match()

Definition at line 321 of file order_book_impl.hpp.

References isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::empty().

◆ empty()

template<class MsgType >

bool isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::empty

inlinenoexcept

Algorithmic complexity: O(1)

Returns: False if there are any trades that have been placed, otherwise true.

Definition at line 262 of file order_book_impl.hpp.

Referenced by isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::cancel(), and isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::match().

◆ is_crossed()

template<class MsgType >

bool isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::is_crossed

inlinenoexcept

Algorithmic complexity: O(num_symbols*n) where num_symbols is the total number of symbols that have been placed and n is the total number of orders in all the books.

Returns: False if any there are no bids or no asks, otherwise the result of comparing the top prices.

Definition at line 268 of file order_book_impl.hpp.

Referenced by isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::match().

◆ match()

template<class MsgType >

order_book< MsgType >::trades_t isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::match

inline

Return all possible trades, also uncrossing the order book.

After calling place() this function may need to be called as the order book may be crossed and thus potential executions that only match() can discover.

Algorithmic complexity: O(num_executions*num_symbols*log(n)) where:

num_executions is the total number of executions that would result,
num_symbols is the total number of symbols that have been placed,
n is the largest number of orders in all the books across the symbols.

Returns: All possible trades; non-empty if crossed, otherwise empty.

See also: place(), cancel()

Definition at line 343 of file order_book_impl.hpp.

References isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::empty(), and isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::is_crossed().

◆ place()

template<class MsgType >

void isimud::ISIMUD_VER_NAMESPACE::order_book< MsgType >::place ( order_t const & order )

inlinenoexcept

Place the requested order in the book.

This may leave the order book in a crossed state, i.e. there may be available trades, so match() may have to be called after calling place().

Algorithmic complexity: O(log(n)) where n is the total number of orders in all the books.

See also: cancel(), is_crossed(), match()

Definition at line 294 of file order_book_impl.hpp.

References jmmcg::LIBJMMCG_VER_NAMESPACE::info::function::add_arg().

Friends And Related Function Documentation

◆ operator<<

template<class MsgType >

template<class MsgTypes1 >

std::ostream& operator<<	(	std::ostream &	os,
		order_book< MsgTypes1 > const &	o
	)

friend

Algorithmic complexity: O(n) where n is the total number of orders in all the books.

The documentation for this class was generated from the following files:

isimud/exchanges/order_book/order_book.hpp
isimud/exchanges/order_book/order_book_impl.hpp

Classes

Public Types

Public Member Functions

Friends

Detailed Description

Member Typedef Documentation

◆ exception_type

◆ execution_t

◆ lock_traits

◆ msg_details_t

◆ order_t

◆ orders_by_time

◆ price_t

◆ quantity_t

◆ side_t

◆ symbol_t

◆ trades_t

Constructor & Destructor Documentation

◆ order_book()

◆ ~order_book()

Member Function Documentation

◆ agreed_spread()

◆ cancel()

◆ empty()

◆ is_crossed()

◆ match()

◆ place()

Friends And Related Function Documentation

◆ operator<<